Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

DOI10.1080/03605308308820301zbMath0716.49023MaRDI QIDQ3203612

Pierre-Louis Lions

Publication date: 1983

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03605308308820301

zbMATH Keywords

diffusion; viscosity solution; second-order elliptic operator; Hamilton-Jacobi-Bellman; Itô system

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60J60: Diffusion processes

35R60: PDEs with randomness, stochastic partial differential equations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

49K45: Optimality conditions for problems involving randomness

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Cites Work

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